How can I make a linked duplicate path with other bevel object?
Thanks to Mr.Zak's kind comment, I more or less solved it. I even threw in the twisting of the wires :)
The final solution does not use Bevel objects, but screw and curve modifiers.

In short:


for the wires, I made an object "KNX-wires" that consists of 4 circles
for the sheathing, I made another object "KNX-sheathing", that consists of a single circle
I added a curve "KNX-Path", to define the path of the cable

I then added the following modifiers to "KNX-wires" and "KNX-sheathing": screw, curve (with "KNX-Path" as curve object), solidify (to give some thickness), and a subsurf to finish.


Result looks like this. By changing "KNX-Path" in edit mode, the cable's path changes. By sliding the "KNX-Sheathing" and "KNX-Wires" along the Z-axis, they slide along "KNX-Path" following its curve. By changing the "screw" parameter of the screw modifier, I can change the length of the sheathing and wires (making the wires stick out a bit for instance).